Optimal online detection of parameter changes in two linear models

DOI10.1016/0304-4149(85)90221-2zbMath0588.62146OpenAlexW2043028081MaRDI QIDQ1073519

H. Jalikop Vaman

Publication date: 1985

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90221-2

zbMATH Keywords

linear modelschange point problemregression modelautoregressive processmean shiftsequential detectionparameter changesdependent sequencesdisorder problemserially correlated error terms

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

Related Items (2)

Optimal on-line detection of outside observations ⋮ OPTIMAL CHANGE-POINT DETECTION IN TREND MODELS WITH INTEGRATED MOVING AVERAGE ERRORS

Cites Work

• Probability maximizing approach to optimal stopping and its application to a disorder problem
• A Posteriori Detection of the “Disorder” Time of a Random Sequence
• A change in level of a non-stationary time series
• On Optimum Methods in Quickest Detection Problems
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